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Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns

Jang, Jeewon; Kang, Jangkoo - In: Journal of financial economics 132 (2019) 1, pp. 222-247

Persistent link: https://www.econbiz.de/10012136879

State-dependent illiquidity premium in the Korean stock market

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Emerging markets finance & trade : a journal of the … 51 (2015) 2, pp. 400-417

Persistent link: https://www.econbiz.de/10011391814

State-dependent variations in the expected illiquidity premium

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2277-2314

Persistent link: https://www.econbiz.de/10011804715

An intertemporal CAPM with higher-order moments

Jang, Jeewon; Kang, Jangkoo - In: The North American journal of economics and finance : a … 42 (2017), pp. 314-337

Persistent link: https://www.econbiz.de/10011938131

Liquidity risk and expected stock returns in Korea : a new approach

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Asia-Pacific journal of financial studies 41 (2012) 6, pp. 704-738

Persistent link: https://www.econbiz.de/10009705219

Who has an edge in trading index derivatives?

Jang, Jeewon; Kang, Jangkoo; Lee, Jaeram - In: The journal of futures markets 43 (2023) 3, pp. 325-348

Persistent link: https://www.econbiz.de/10014293070

Liquidity risk and expected stock returns in Korea : a new approach

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Asia-Pacific journal of financial studies 41 (2012) 6, pp. 704-738

Persistent link: https://www.econbiz.de/10010097702

Probability of Price Crashes, Rational Speculative Bubbles, and the Cross-Section of Stock Returns

Jang, Jeewon - 2018

We estimate an ex ante probability of extreme negative returns (crashes) of individual stocks as a measure of potential overpricing and find that stocks with a high probability of crashes earn abnormally low returns. Stocks with high crash probability are overpriced regardless of the level of...

Persistent link: https://www.econbiz.de/10012931108